Similar Search Results

Optimal grid selection for the numerical solution of dynamic stochastic optimization problems

Chipeniuk, Karsten O. - In: Computational economics 56 (2020) 4, pp. 883-928

Persistent link: https://www.econbiz.de/10012390486

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

On stationary recursive equilibria and nondegenerate state spaces : the Huggett model

Kam, Timothy; Lee, Junsang - In: Journal of mathematical economics 50 (2014), pp. 156-159

Persistent link: https://www.econbiz.de/10010476821

Evaluating linear approximations in a twocountry model with occasionally binding borrowing constraints

Anagnostopoulos, Alexis; Tang, Xin - In: The B.E. journal of macroeconomics 15 (2015) 1, pp. 43-91

Persistent link: https://www.econbiz.de/10010481810

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

Mostovyi, Oleksii - In: Finance and stochastics 19 (2015) 1, pp. 135-159

Persistent link: https://www.econbiz.de/10011417138

Utility maximization in a large market

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 106-118

Persistent link: https://www.econbiz.de/10011969163

Optimal investment with intermediate consumption and random endowment

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 96-114

Persistent link: https://www.econbiz.de/10011739444

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121

Persistent link: https://www.econbiz.de/10011460007

Non-concave utility maximisation on the positive real axis in discrete time

Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M. - In: Mathematics and financial economics 9 (2015) 4, pp. 325-349

Persistent link: https://www.econbiz.de/10011378104

An expansion in the model space in the context of utility maximization

Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan - In: Finance and stochastics 22 (2018) 2, pp. 297-326

Persistent link: https://www.econbiz.de/10011945713